Implement Bybit batch cancel orders

nautechsystems · Apr 7, 2024 · de931be · de931be
1 parent 78e2c06
commit de931be
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Showing 6 changed files with 79 additions and 25 deletions.
diff --git a/nautilus_trader/adapters/bybit/endpoints/trade/batch_amend_order.py b/nautilus_trader/adapters/bybit/endpoints/trade/batch_amend_order.py
@@ -23,7 +23,7 @@
 from nautilus_trader.core.nautilus_pyo3 import HttpMethod
 
 
-class BybitAmendOrder(msgspec.Struct, omit_defaults=True, frozen=True):
+class BybitBatchAmendOrder(msgspec.Struct, omit_defaults=True, frozen=True):
     symbol: str
     orderId: str | None = None
     orderLinkId: str | None = None
@@ -42,7 +42,7 @@ class BybitAmendOrder(msgspec.Struct, omit_defaults=True, frozen=True):
 
 class BybitBatchAmendOrderPostParams(msgspec.Struct, omit_defaults=True, frozen=True):
     category: BybitProductType
-    request: list[BybitAmendOrder]
+    request: list[BybitBatchAmendOrder]
 
 
 class BybitBatchAmendOrderEndpoint(BybitHttpEndpoint):
@@ -51,7 +51,7 @@ def __init__(
         client: BybitHttpClient,
         base_endpoint: str,
     ) -> None:
-        url_path = base_endpoint + "/order/create-batch"
+        url_path = base_endpoint + "/order/amend-batch"
         super().__init__(
             client=client,
             endpoint_type=BybitEndpointType.TRADE,

diff --git a/nautilus_trader/adapters/bybit/endpoints/trade/batch_cancel_order.py b/nautilus_trader/adapters/bybit/endpoints/trade/batch_cancel_order.py
@@ -16,39 +16,31 @@
 import msgspec
 
 from nautilus_trader.adapters.bybit.common.enums import BybitEndpointType
-from nautilus_trader.adapters.bybit.common.enums import BybitOrderSide
-from nautilus_trader.adapters.bybit.common.enums import BybitOrderType
 from nautilus_trader.adapters.bybit.common.enums import BybitProductType
-from nautilus_trader.adapters.bybit.common.enums import BybitTimeInForce
-from nautilus_trader.adapters.bybit.common.enums import BybitTriggerType
 from nautilus_trader.adapters.bybit.endpoints.endpoint import BybitHttpEndpoint
 from nautilus_trader.adapters.bybit.http.client import BybitHttpClient
 from nautilus_trader.adapters.bybit.schemas.order import BybitBatchCancelOrderResponse
 from nautilus_trader.core.nautilus_pyo3 import HttpMethod
 
 
-class BybitBatchCancelOrderPostParams(msgspec.Struct, omit_defaults=True, frozen=True):
-    category: BybitProductType
+class BybitBatchCancelOrder(msgspec.Struct, omit_defaults=True, frozen=True):
     symbol: str
-    side: BybitOrderSide
-    qty: str
-    marketUnit: str | None = None
-    orderType: BybitOrderType | None = None
-    price: str | None = None
-    triggerDirection: int | None = None  # TODO type this
-    triggerPrice: str | None = None
-    triggerBy: BybitTriggerType | None = None
-    timeInForce: BybitTimeInForce | None = None
+    orderId: str | None = None
     orderLinkId: str | None = None
 
 
+class BybitBatchCancelOrderPostParams(msgspec.Struct, omit_defaults=True, frozen=True):
+    category: BybitProductType
+    request: list[BybitBatchCancelOrder]
+
+
 class BybitBatchCancelOrderEndpoint(BybitHttpEndpoint):
     def __init__(
         self,
         client: BybitHttpClient,
         base_endpoint: str,
     ) -> None:
-        url_path = base_endpoint + "/order/create-batch"
+        url_path = base_endpoint + "/order/cancel-batch"
         super().__init__(
             client=client,
             endpoint_type=BybitEndpointType.TRADE,

diff --git a/nautilus_trader/adapters/bybit/endpoints/trade/batch_place_order.py b/nautilus_trader/adapters/bybit/endpoints/trade/batch_place_order.py
@@ -27,7 +27,7 @@
 from nautilus_trader.core.nautilus_pyo3 import HttpMethod
 
 
-class BybitPlaceOrder(msgspec.Struct, omit_defaults=True, frozen=True):
+class BybitBatchPlaceOrder(msgspec.Struct, omit_defaults=True, frozen=True):
     symbol: str
     side: BybitOrderSide
     orderType: BybitOrderType
@@ -47,7 +47,7 @@ class BybitPlaceOrder(msgspec.Struct, omit_defaults=True, frozen=True):
 
 class BybitBatchPlaceOrderPostParams(msgspec.Struct, omit_defaults=True, frozen=True):
     category: BybitProductType
-    request: list[BybitPlaceOrder]
+    request: list[BybitBatchPlaceOrder]
 
 
 class BybitBatchPlaceOrderEndpoint(BybitHttpEndpoint):

diff --git a/nautilus_trader/adapters/bybit/execution.py b/nautilus_trader/adapters/bybit/execution.py
@@ -534,6 +534,41 @@ async def _cancel_all_orders(self, command: CancelAllOrders) -> None:
             bybit_symbol.raw_symbol,
         )
 
+    # TODO: Determine signing issue for batch requests
+    # async def _cancel_all_orders(self, command: CancelAllOrders) -> None:
+    #     open_orders_strategy: list[Order] = self._cache.orders_open(
+    #         instrument_id=command.instrument_id,
+    #         strategy_id=command.strategy_id,
+    #     )
+    #
+    #     bybit_symbol = BybitSymbol(command.instrument_id.symbol.value)
+    #
+    #     # Check total orders for instrument
+    #     open_orders_total_count = self._cache.orders_open_count(
+    #         instrument_id=command.instrument_id,
+    #     )
+    #     if open_orders_total_count > 10:
+    #         # This could be reimplemented later to group requests into batches of 10
+    #         self._log.warning(
+    #             f"Total {command.instrument_id.symbol.value} orders open exceeds 10, "
+    #             f"is {open_orders_total_count}: canceling all for symbol",
+    #         )
+    #         await self._http_account.cancel_all_orders(
+    #             bybit_symbol.product_type,
+    #             bybit_symbol.raw_symbol,
+    #         )
+    #         return
+    #
+    #     cancel_batch: list[Order] = []
+    #     for order in open_orders_strategy:
+    #         cancel_batch.append(order)
+    #
+    #     await self._http_account.batch_cancel_orders(
+    #         product_type=bybit_symbol.product_type,
+    #         symbol=bybit_symbol.raw_symbol,
+    #         orders=cancel_batch,
+    #     )
+
     async def _submit_order(self, command: SubmitOrder) -> None:
         order = command.order
         if order.is_closed:

diff --git a/nautilus_trader/adapters/bybit/http/account.py b/nautilus_trader/adapters/bybit/http/account.py
@@ -30,7 +30,9 @@
 from nautilus_trader.adapters.bybit.endpoints.trade.amend_order import BybitAmendOrderEndpoint
 from nautilus_trader.adapters.bybit.endpoints.trade.amend_order import BybitAmendOrderPostParams
 from nautilus_trader.adapters.bybit.endpoints.trade.batch_amend_order import BybitBatchAmendOrderEndpoint
+from nautilus_trader.adapters.bybit.endpoints.trade.batch_cancel_order import BybitBatchCancelOrder
 from nautilus_trader.adapters.bybit.endpoints.trade.batch_cancel_order import BybitBatchCancelOrderEndpoint
+from nautilus_trader.adapters.bybit.endpoints.trade.batch_cancel_order import BybitBatchCancelOrderPostParams
 from nautilus_trader.adapters.bybit.endpoints.trade.batch_place_order import BybitBatchPlaceOrderEndpoint
 from nautilus_trader.adapters.bybit.endpoints.trade.cancel_all_orders import BybitCancelAllOrdersEndpoint
 from nautilus_trader.adapters.bybit.endpoints.trade.cancel_all_orders import BybitCancelAllOrdersPostParams
@@ -55,6 +57,7 @@
 from nautilus_trader.adapters.bybit.schemas.trade import BybitExecution
 from nautilus_trader.common.component import LiveClock
 from nautilus_trader.core.correctness import PyCondition
+from nautilus_trader.model.orders import Order
 
 
 # fmt: on
@@ -287,3 +290,27 @@ async def cancel_all_orders(
             ),
         )
         return response.result.list
+
+    async def batch_cancel_orders(
+        self,
+        product_type: BybitProductType,
+        symbol: str,
+        orders: list[Order],
+    ) -> list[Any]:
+        request: list[BybitBatchCancelOrder] = []
+
+        for order in orders:
+            request.append(
+                BybitBatchCancelOrder(
+                    symbol=symbol,
+                    orderId=order.venue_order_id.value if order.venue_order_id else None,
+                    orderLinkId=order.client_order_id.value,
+                ),
+            )
+        response = await self._endpoint_batch_cancel_order.post(
+            BybitBatchCancelOrderPostParams(
+                category=product_type,
+                request=request,
+            ),
+        )
+        return response.result
diff --git a/nautilus_trader/adapters/bybit/http/client.py b/nautilus_trader/adapters/bybit/http/client.py
@@ -181,8 +181,8 @@ def _sign_post_request(self, payload: dict[str, Any]) -> list[str]:
         payload_str = create_string_from_dict(payload)
         result = timestamp + self._api_key + str(self._recv_window) + payload_str
         signature = hmac.new(
-            self._api_secret.encode("utf-8"),
-            result.encode("utf-8"),
+            self._api_secret.encode(),
+            result.encode(),
             hashlib.sha256,
         ).hexdigest()
         return [timestamp, signature]
@@ -192,8 +192,8 @@ def _sign_get_request(self, payload: dict[str, Any]) -> list[str]:
         payload_str = parse.urlencode(payload)
         result = timestamp + self._api_key + str(self._recv_window) + payload_str
         signature = hmac.new(
-            self._api_secret.encode("utf-8"),
-            result.encode("utf-8"),
+            self._api_secret.encode(),
+            result.encode(),
             hashlib.sha256,
         ).hexdigest()
         return [timestamp, signature]